Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx. (arXiv:2104.05522v5 [cs.LG] UPDATED)

We extend the neural basis expansion analysis (NBEATS) to incorporate
exogenous factors. The resulting method, called NBEATSx, improves on a well
performing deep learning model, extending its capabilities by including
exogenous variables and allowing it to integrate multiple sources of useful
information. To showcase the utility of the NBEATSx model, we conduct a
comprehensive study of its application to electricity price forecasting (EPF)
tasks across a broad range of years and markets. We observe state-of-the-art
performance, significantly improving the forecast …

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